Casio CZ/VZ Files... part of CZsynth

Yeah, I know, I can see everybody's eyes rolling! :) Ha!

I'm a guitarist just getting into synths, lots to learn! I have both a CZ5000 and a FZ1, my first question is...

I kinda understand how syex works, you plug the keyboard into your computer VIA MIDI cable and transfer the commands, but how exactly do yo do it? I probably need some kind of software, right? anything free out there that would give me basic transfer capabilities? How does it work specially with the CZ and FZ sybths? I know they have very limited memory, so when you transfer stuff, do yo uloose what's in there, where does it load to?

Thanks in advance